Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
9552838 | Insurance: Mathematics and Economics | 2005 | 12 Pages |
Abstract
We obtain the ruin probability and expected discounted penalty function for a diffusion-perturbed classical risk model, by taking limits in a sequence of compound Poisson processes that converge weakly to the former. This allows us to improve upon a result of Tsai and Willmot [Tsai, C.C.L., Willmot, G.E., 2002. A generalized defective renewal equation for the surplus process perturbed by diffusion. Insurance Math. Econ. 30, 51-66].
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Joykrishna Sarkar, Arusharka Sen,